GLOBAL FX STRATEGY
COMMITMENT OF TRADERS—CFTC
INVESTORS POSITION FOR ECB AND FED
Data in this report cover up to Tuesday Mar 1 & were released Friday Mar 4.
• IMM data for the week through March revealed the first pick up in aggregate long USD positioning since mid-January and the first meaningful jump in overall USD bullish positioning since mid-
January. Positive US data releases and the proximity of this month’s key central bank policy decisions perhaps persuaded speculative investors to reload on their recently depleted net EUR short positions. Net EUR shorts jumped 22k contracts (to 68.5k contracts) this week, or nearly USD2.9bn (to USD9.3bn).
• Elsewhere, investor positioning suggests a preference for both risk (net AUD longs rising by USD520mn, taking the net bet here to the largest since September 2014) as well as safety (net JPY longs up around 7k contracts or USD657mn, taking net JPY to the most bullish since early 2012). Investors appear unworried that both the Australian and Japanese authorities have expressed concern about their respective currency’s strength. Net GBP shorts rose
USD536mn in the week. Blame that on the “Brexit” risk.
• Meanwhile, negative CAD sentiment continues to moderate.
Peak bearishness occurred at the end of the January (-67k contracts, close to the 2013-15 extremes in positioning) and has since more than halved to -30.5k contracts this week. (USD2.2bn). The move has been primarily driven by covering CAD shorts (bottom right p1), with limited changes in gross CAD longs.
Follow us on Twitter @Scotiabankfx
Shaun Osborne Eric Theoret, CFA, CMT
Chief FX Strategist
(416) 945-4538
Shaun.Osborne@scotiabank.com
FX Strategist
(416) 863-7030
Eric.Theoret@scotiabank.com
50
AGGREGATE USD POSITION
$ bn
40
30
20
10
0 long short
USD Position
0
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
25 CAD VS NET POSITION
'000s of contracts
-25
USDCAD
(reversed)
1.20
1.25
1.30
1.35
Sentiment
1-Mar Bias Trend
CAD bearish decreasing
AUD bullish increasing
NZD neutral neutral
MXN bearish neutral
EUR bearish increasing
GBP bearish increasing
CHF neutral neutral
JPY bullish increasing
Gold bullish increasing
Total USD pos'n (excluding gold)
$mns
Position
-2,273 w/w chg.
405
1,210
-276
-1,576
-9,311
520
164
-125
-2,857
-3,434
-189
6,537
18,780
9,312
-536
104
657
993
1,667
-50
USDCAD (R)
-75
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
75
50
Net Position (L)
CAD: GROSS LONG, SHORT & NET
'000s of contracts
25
0 long short
-25
-50
-75
Net
-100
Gross Long
Gross Short
-125
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
1.40
1.45
Date
($MM)
Net
1-Mar -2,273
23-Feb -2,678
16-Feb -3,252
9-Feb -3,745
CAD — NON-COMMERCIAL POSITIONING
Position - Contracts of 100,000 CAD
Long
31,018
31,487
29,077
27,279
Short
61,496
68,427
74,162
79,214
Net
-30,478
-36,940
-45,085
-51,935
Net w/w Open Int.
6,462 159,107
8,145 157,921
6,850 158,608
485 157,150
* A trader is classified as “non-commercial” by the Commodity Futures Trading Commission if the trader is not using futures contracts in a particular currency for hedging purposes (as defined by the Commission). This category of futures trader is generally considered to include individual investors, hedge funds and other large financial institutions engaged in trading the securities for speculative purposes.
75
50
25
0
-25
-50
-75
-100
-125

GLOBAL FX STRATEGY
50
AGGREGATE USD POSITION
$ bn
25
0 long short
-25
Aggregate USD Position
-50
2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Scotiabank FX Strategy, Bloomberg & CFTC
100 JPY: GROSS LONG, SHORT & NET
'000s of contracts
0 long short
100
0
-100
Net Gross Long Gross Short
-200
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
-100
-200
Friday, March 04, 2016
20
15
10
5
0
-5
JPY NET POSITION
$ bn long short
-10
-15
-20
2010 2011 2012 2013 2014 2015 2016
Source: Scotiabank FX Strategy, Bloomberg & CFTC
100
EUR: GROSS LONG, SHORT & NET
'000s of contracts
0 long short
-100
-200
Net Gross Long Gross Short
-300
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
100
0
-100
-200
-300
NET LONG / SHORT POSITION VS USD bn
10
5
0 long short
-5
-10
-15
-20
-25
EUR GBP CAD MXN NZD CHF AUD JPY
Source: Scotiabank FX Strategy, Bloomberg & CFTC
10 52 WEEK RANGE NET LONG/SHORT POSITION
$ bn long short
-10
-20
-30
*red column denotes 52 week range of $ value of net position; black line is current net position.
-40
EUR GBP CAD MXN NZD CHF AUD JPY
Source: Scotiabank FX Strategy, Bloomberg & CFTC
2

GLOBAL FX STRATEGY
Friday, March 04, 2016
-25
'000s of contracts
-75
EURUSD
1.15
1.13
-125
1.11
1.09
-175
Net Position (L)
EURUSD (R)
-225
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
1.07
1.05
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
EUR — NON-COMMERCIAL POSITIONING
Position - Contracts of 125,000 EUR
Net Long Short Net Net w/w Open Int.
-9,311 103,965 172,506 -68,541 -21,684 417,624
-6,455 107,566 154,423 -46,857 1,348 422,624
-6,715 113,970 162,175 -48,205 15,109 429,997
-8,938 114,607 177,921 -63,314 23,759 441,228
10
0
'000s of contracts long short
-10
GBPUSD 1.60
-20
-30
-40 Net Position (L)
GBPUSD (R)
-50
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
1.55
1.50
1.45
1.40
1.35
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
GBP — NON-COMMERCIAL POSITIONING
Position - Contracts of 62,500 GBP
Net Long Short Net Net w/w Open Int.
-3,434 38,965 78,343 -39,378 -6,310 275,825
-2,898 35,479 68,547 -33,068 3,187 257,214
-3,242 36,512 72,767 -36,255
-3,283 31,025 67,325 -36,300
45 260,649
8,718 255,866
-25
-50
25
0
75
50
'000s of contracts
Net Position (L)
USDJPY (R)
USDJPY
(reversed)
-75
-100
-125
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
110.0
115.0
120.0
125.0
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
Net
6,537
5,880
JPY — NON-COMMERCIAL POSITIONING
Position - Contracts of 12.5MM JPY
Long Short Net Net w/w Open Int.
94,070 34,445 59,625
92,376 39,642 52,734
6,891 261,679
4,833 257,064
5,249
4,695
84,518 36,617 47,901
75,811 32,579 43,232
4,669 248,985
5,987 237,081
15
'000s of contracts
0 long short
-15
Net Position (L)
USDCHF (R)
USDCHF
(reversed)
0.90
0.95
1.00
-30
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
1.05
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
Net
-189
-293
CHF — NON-COMMERCIAL POSITIONING
Position - Contracts of 125,000 CHF
Long Short Net Net w/w Open Int.
19,723 21,230
20,213 22,534
-1,507
-2,321
814
2,045
47,634
47,838
-552
-934
20,141 24,507
20,356 27,624
-4,366
-7,268
2,902
-2,573
48,564
52,701
3

GLOBAL FX STRATEGY
20
0
'000s of contracts long short
-20
-40
-60
Net Position (L)
AUDUSD (R)
AUDUSD
0.825
0.800
0.775
0.750
0.725
0.700
0.675
-80
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
Net
1,210
690
200
-398
AUD — NON-COMMERCIAL POSITIONING
Position - Contracts of 100,000 AUD
Long
76,480 59,619 16,861
72,523
66,740 63,933
64,020
Short
62,948
69,646
Net
9,575
2,807
-5,626
Net w/w
7,286
6,768
8,433
20,542
Open Int.
122,911
119,526
111,447
113,354
Friday, March 04, 2016
10
5
0
'000s of contracts
Net Position (L)
NZDUSD (R) long short
-5
-10
-15
-20
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
NZDUSD 0.775
0.750
0.725
0.700
0.675
0.650
0.625
Date
1-Mar
23-Feb
16-Feb
9-Feb
($MM)
Net
-276
-439
-547
-606
NZD — NON-COMMERCIAL POSITIONING
Position - Contracts of 100,000 NZD
Long
15,968
13,666
Short
22,583
22,805
Net
16,593 20,750 -4,157
-6,615
14,465 22,782 -8,317
-9,139
Net w/w
2,458
1,702
822
-703
Open Int.
31,473
32,618
33,596
33,544
0
-25
-50
'000s of contracts long short
-75
Net Position (L)
USDMXN (R)
-100
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
USDMXN
(reversed)
14.5
15.0
15.5
16.0
16.5
17.0
17.5
18.0
18.5
19.0
Date
1-Mar
23-Feb
16-Feb
9-Feb
MXN — NON-COMMERCIAL POSITIONING
($MM)
Net
Position - Contracts of 500,000 MXN
Long Short Net Net w/w Open Int.
-1,576 25,194 81,667 -56,473 -3,614 141,104
-1,452 30,149 83,008 -52,859 24,526 145,631
-2,049 21,445 98,830 -77,385 -30,863 161,403
-1,237 41,732 88,254 -46,522 32,072 155,692
350
300
250
200
150
'000s of contracts
$/barrel
Net Position (L)
WTI (R)
65
60
55
50
45
40
35
30
25 100
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
Date
1-Mar
23-Feb
16-Feb
9-Feb
NYMEX Crude — NON-COMMERCIAL POSITIONING
($MM)
Net
Position - Contracts of 1000 barrels
Long Short Net Net w/w Open Int.
7,311 529,761 317,243 212,518 6,662 1,800,298
6,561 533,268 327,412 205,856 46,869 1,776,696
4,617 517,940 358,953 158,987 -28,890 1,840,051
5,249 544,800 356,923 187,877 -8,996 1,854,379
4

GLOBAL FX STRATEGY
-150
-175
-200
-225
NATURAL GAS VS NET POSITION
'000s of contracts
-250
Net Position (L)
Natural Gas (R)
-275
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
$/mmbtu
(reversed)
2.1
1.9
1.7
1.5
2.9
2.7
2.5
2.3
0
-100
S&P VS NET POSITION
'000s of contracts (e-minis) long short
-200
Net Position (L)
S&P 500 (R)
-300
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
2,150
2,100
2,050
2,000
1,950
1,900
1,850
Friday, March 04, 2016
200
150
100
50
GOLD VS NET POSITION
'000s of contracts
Net Position (L)
Gold (R)
0
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
$/oz.
1,300
1,250
1,200
1,150
1,100
1,050
100
0
10Y VS NET POSITION
'000s of contracts long short
-100
1.70
%
1.95
2.20
-200
-300
Net Position (L) 10Y Treasury Yield (R)
Mar 15 May 15 Jul 15 Sep 15 Nov 15 Jan 16
Source: Scotiabank FX Strategy, Bloomberg & CFTC
2.45
IMPORTANT NOTICE and DISCLAIMER:
This publication has been prepared by The Bank of Nova Scotia (Scotiabank) for informational and marketing purposes only. Opinions, estimates and projections contained herein are our own as of the date hereof and are subject to change without notice. The information and opinions contained herein have been compiled or arrived at from sources believed reliable, but no representation or warranty, express or implied, is made as to their accuracy or completeness and neither the information nor the forecast shall be taken as a representation for which Scotiabank, its affiliates or any of their employees incur any responsibility. Neither Scotiabank nor its affiliates accept any liability whatsoever for any loss arising from any use of this information. This publication is not, and is not constructed as, an offer to sell or solicitation of any offer to buy any of the currencies referred to herein, nor shall this publication be construed as an opinion as to whether you should enter into any swap or trading strategy involving a swap or any other transaction. The general transaction, financial, educational and market information contained herein is not intended to be, and does not constitute, a recommendation of a swap or trading strategy involving a swap within the meaning of U.S. Commodity Futures Trading Commission Regulation 23.434 and Appendix A thereto. This material is not intended to be individually tailored to your needs or characteristics and should not be viewed as a “call to action” or suggestion that you enter into a swap or trading strategy involving a swap or any other transaction. You should note that the manner in which you implement any of the strategies set out in this publication may expose you to significant risk and you should carefully consider your ability to bear such risks through consultation with your own independent financial, legal, accounting, tax and other professional advisors. Scotiabank, its affiliates and/or their respective officers, directors or employees may from time to time take positions in the currencies mentioned herein as principal or agent, and may have received remuneration as financial advisor and/or underwriter for certain of the corporations mentioned herein. Directors, officers or employees of Sc otiabank and its affiliates may serve as directors of corporations referred to herein. All Scotiabank products and services are subject to the terms of applicable agreements and local regulations. This publication and all information, opinions and conclusions contained in it are protected by copyright. This information may not be reproduced in whole or in part, or referred to in any ma nner whatsoever nor may the information, opinions and conclusions contained in it be referred to without the prior express written consent of Scotiabank.
™Trademark of The Bank of Nova Scotia. Used under license, where applicable. Scotiabank, together with “Global Banking and Markets”, is a marketing name for the global corporate and investment banking and capital markets businesses of The Bank of Nova Scotia and certain of its affiliates in the countries where they operate, all members of the Scotiabank group and authorized users of the mark. The Bank of Nova Scotia is incorporated in Canada with limited liability and is authorised and regulated by the Office of the Superintendent of Financial Institutions Canada. The Bank of Nova Scotia and Scotiabank Europe plc are authorised by the UK Prudential Regulation Authority. The Bank of Nova Scotia is subject to regulation by the UK Financial Conduct Authority and limited regulation by the UK Prudential Regulation Authority. Scotiabank Europe plc is authorised by the UK Prudential Regulation Authority and regulated by the UK Financial Conduct Authority and the UK Prudential Regulation Authority. Details about the extent of The Bank of Nova Scotia's regulation by the UK Prudential Regulation Authority are available on request. Scotiabank Inverlat, S.A., Scotia Inverlat Casa de Bolsa, S.A. de C.V., and Scotia Inverlat Derivados, S.A. de C.V., are each authorized and regulated by the Mexican financial authorities.Not all products and services are offered in all jurisdictions. Services described are available in jurisdictions where permitted by law.